Loading [MathJax]/extensions/TeX/boldsymbol.js

 

 

 

BFGS optimization problem, setting up the equations

We are given the following unconstrained optimization problem:

\mathbf{x}^* = \arg \min_{\mathbf{x}} f(\mathbf{x})

where f: \mathbb{R}^n \to \mathbb{R} is a differentiable objective function, and \mathbf{x} \in \mathbb{R}^n is the vector of decision variables.

The first-order necessary conditions for optimality are given by:

\nabla f(\mathbf{x}^*) = 0

where \nabla f(\mathbf{x}) denotes the gradient of f(\mathbf{x}) .